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Hi David, How can we correctly count the number of days in for Day Count Convention? For example in Hull's Drill practice question page 149, A US Treasury bond pays a 7% coupon on January 7 and July 7. How much interest accrues per $100 of principal to bondholder between July, 2004, and...

Hi David, The question: A credit asset has a principal value of $6.0 with probability of default (PD) of 3.0% and a loss given default (LGD) characterized by the following probability density function (pdf): f(x) = x/18 such that 0 ≤ x ≤ $6. Let expected loss (EL) = E[PD*LGD]. If PD and LGD...

Hi David, For Question 15, shouldn't duration be (106.3 - 106.1)/106.3/ 2 x .0002 ? Thanks!

Hi David, Can I check how do we derive $50.77 for question 1.5? Thanks

Hi, I'm referring to Hull, Chapters 11,13 & 17, question 13.04, how do we actually get 0.4045 for N(-d1)? Thanks

Hi David, Why should it be a minus instead of plus the convexity for this formula? Forward = Futures - 0.5 x standard deviation^2 x T1 x T2? Thanks in advance!

Hi David, Is spot rate always equals to zero rate? I'm looking at question 158.2 and 158.3 in P1.T3. Markets & Products: Hull Chapters 4, 5 and 6. For question 158.3, shouldn't it be Par yield = [1 + 1*exp(-0.05*2.0)]*2/3.80710 instead of [1 - 1*exp(-0.05*2.0)]*2/3.80710? I'm confused by...

Hi David, Should VaR be calculated as σ√T OR σ÷√T? Thanks

Hi David, Real quick. Why do we divide by 10 for question 112.1? Many thanks!

And so I was reading this news: http://www.bloomberg.com/news/2013-02-01/occ-said-to-admit-it-missed-jpmorgan-var-change-in-senate-probe.html The snippet of this news to note is ... "Workers inadvertently used the sum of two numbers instead of the average in calculating VaR, which represents...

Hi David, For answer 27.3, why do we " Long 300% Asset and short 200% (weight = -200%) Asset B" ? Thanks

Hi folks Need some real world advice. How do I get myself into a credit risk position? How relevant is M&A experience beneficial to credit risk or is it beneficial? I am seeing some M&A positions but they are all very different forms of M&A. Some are doing analysis on M&A while others are...

Hi folks, For question 203.1 and 203.2, I noticed we are taking (100÷ the longer year bond PV) to get the zero rate. Example for 203.1, it is 100÷96.58 . Why shouldn't we use the PV of the 3yr Treasury Bond divided by the PV of 5yr Treasury Bond?

About standard deviation, on question 209.1, the answer is C. The standard error is derived by (0.15x 0.85÷60)^0.5. Is this an alternative method to calculate standard error besides S÷√60? is 0.15x0.85 the standard deviation? On question 210.2, I'm still confused why the answer is c instead...

Hi question 189.2, is it always 2 Gasoline and 1 Heating Oil to 3 Oil futures?

For question 30.4, why do we have to multiply 50% × 0 + 50% × E[loss|loss event] I mean why should 50% be the average of the 10% tail?

On 13.2, why should it be 99.90 ÷ 98.56?

Hi, Q15.4, How do we derive the bond price at $45.6387? I've got $59.229 instead. N=20, FV=100 Thanks!

Hi, Can anyone give a detailed concept of Binomial, Black Scholes Merton, Geometric Brownian Motion, Monte CArlo for Valuation? Which is applicable in which circumstances? I'm taking Level 1 this year so I'm not sure if all will be tested and I'm pretty confused by them. My understanding...

Hi I'm looking at question 13.07C. The answer says "price distribution is lognormal (log returns are normal) which is positively skewed: the mean greater than the median". Shouldn't it be negatively skewed? Thanks